Hello, well from what I understand, Mozilla FireFox is compatible on linux. So I downloaded it for linux, (Yes it was for linux, I know this because of the penguin icon on the download lol) so anyway when I tried to run the installer I got a message asking me what I want to open it with. Much like the one on windows, is that supposed to happen? If so what do I pick?

Hi CM,
There are two answers to your question:
1. Just download the Kubuntu package called "iceweasel" and install it with your favourite package manager. Iceweasel is the same as Firefox but avoids certain copyright issues associated with the name/logo? "Firefox".
2. I assume you downloaded the bz2 file from the Mozilla (Firefox) website. Just untar that file by navigating to the folder where the bz2 file is located and in a terminal window type:
A whole bunch of files with be extracted to a subdirectory called "Firefox" (or something like that). As root or using sudo just move that whole directory to /opt (that is the usual place for it or else move it anywhere you like).
Create a shortcut to it on your desktop and you're all set.
Cheers,
jdk

Open the Adept package manager (K→System→Adept Manager - Manage Packages)
In the search box, type 'Firefox', right click on firefox in the results and click 'request install'
This is the way you install software on Kubuntu, don't bother to download them manually.